M&A Volatility Screen Includes AHGP, CRR, FGP, IOC, RRC: BMO
2015-08-19 12:44:35.49 GMT
By Brian Welcher
(Bloomberg) -- BMO Vice President of Equity Derivatives
Alex Kosoglyadov, in a note to clients, refreshes M&A Candidate
Volatility Screen.
* Highlights names where market is implying meaningful short-
time upside risk (60-day implied vol above 60-day realized),
downward sloping term structure (60-day implied above 6-
month implied), inverted skew (2nd month 25 delta call vol
above 2nd month 25 delta put vol; 2nd month 25-delta skew
percentile below 15):
* Consumer: CALM, CONN, CPB, HOT, MW, SHLD, TAP, WEN, WWAV
* Energy: AHGP, CRR, FGP, IOC, RRC, TRP, WPZ
* Financials: ACAS, BKD, OFG, SC
* Healthcare: ESRX, GSK
* Industrials: AER, AXLL, TRQ
* TMT: ADSK, AMCC, BBRY, BOX, CVC, GRUB, INFY, MRVL, RMBS,
TSM, WDAY